QUESTION ONE
IMAGE MARKET RISK
a) The re-pricing gap if the planning period is 91 days
Re-pricing gap within a period of 91 days = ($150+$150)-$340= -$40 million
b) The impact over the next 91 days with a 25 basis point decrease in interest rate.
If the rate of interest decreases by 25 basis, net interest income will decrease by $100000.
This is calculated as follows;
∆NII= CGAP (∆R) = -$40m (-0.0025) = $0.1million
c) One year run off expected;
The re-pricing gap in the 1 year planning period shall be calculated as
= ($150+$150+$20+$40+$50)-$340= +$70million
d) Effect of runoffs on net interest income if interest decrease by 25 basis points
If interest rate decrease by 25 basis points, the net interest income will decrease by
$175000
